AG Mortgage Investment Trust, Inc. Reports Third Quarter Earnings
FINANCIAL HIGHLIGHTS
See footnotes at the end of this press release
-
Net income of
$61.2 million , or$3.10 per share (7) -
Core Earnings of
$20.0 million , or$1.03 per share-
$0.17 per share increase during the quarter -
includes
$0.06 per share of retrospective adjustment
-
-
Net realized gains of
$4.1 million , or$0.21 per share -
$0.77 per share common dividend for the quarter-
$0.07 per share increase
-
-
Approximately
$1.19 per share of undistributed taxable income as ofSeptember 30, 2012 (1) -
$23.71 net book value per share as ofSeptember 30, 2012 (1)-
$1.93 per share increase during the quarter, net of the$0.77 dividend declared for the quarter and paid onOctober 26, 2012
-
-
40.9% annualized year-to-date return on stock as of
September 30, 2012 - 12.8% return on equity during the quarter (2)
-
Raised approximately
$327.5 million of gross proceeds through common and preferred stock offerings during the quarter
INVESTMENT HIGHLIGHTS
-
$4.9 billion investment portfolio value as ofSeptember 30, 2012 (3) (5) -
2.41% net interest margin as of
September 30, 2012 (4) -
6.06x leverage as of
September 30, 2012 (3) (8) - 80.3% Agency RMBS investment portfolio (5)
- 19.7% credit investment portfolio, comprised of Non-Agency RMBS, ABS and CMBS assets (5)
- 6.2% constant prepayment rate (“CPR”) for the third quarter on the Agency RMBS investment portfolio (6)
THIRD QUARTER 2012 RESULTS
“MITT accomplished a lot this quarter,” said
“Over the quarter we were able to deliver on our goal of deploying an
increasing portion of our capital into attractive investments in
Non-Agency RMBS, ABS and CMBS,” said
On
On September 6, 2012, the Company entered into an equity distribution
agreement with each of
On
On
On
As of
“During the quarter we raised
KEY STATISTICS (3) |
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Weighted Average at |
Weighted Average for |
|||||
Investment portfolio | $ | 4,926,605,381 | $ | 3,722,196,645 | ||
Repurchase agreements | $ | 4,117,521,386 | $ | 3,184,694,199 | ||
Stockholders' equity | $ | 704,478,303 | $ | 471,254,872 | ||
Leverage ratio (8) | 6.06x | 6.76x | ||||
Swap ratio (9) | 53% | 53% | ||||
Yield on investment portfolio (10) | 3.45% | 3.48% | ||||
Cost of funds (11) | 1.04% | 0.98% | ||||
Net interest margin (4) | 2.41% | 2.50% | ||||
Management fees (12) | 0.94% | 1.41% | ||||
Other operating expenses (13) | 0.94% | 1.40% | ||||
Book value, per share (1) | $ | 23.71 | ||||
Dividend, per share | $ | 0.77 |
INVESTMENT PORTFOLIO | ||||||||||||||
The following summarizes the Company’s investment portfolio as of September 30, 2012 (3): |
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Weighted Average | ||||||||||||||
Current Face |
Premium |
Amortized Cost | Fair Value | Coupon | Yield | |||||||||
Agency RMBS: | ||||||||||||||
15-Year Fixed Rate | $ | 1,310,198,668 | $ | 53,128,093 | $ | 1,363,326,761 | $ | 1,394,757,196 | 3.01% | 2.17% | ||||
20-Year Fixed Rate | 278,054,304 | 11,359,858 | 289,414,162 | 299,020,184 | 3.59% | 2.84% | ||||||||
30-Year Fixed Rate | 1,814,505,818 | 107,102,858 | 1,921,608,676 | 1,960,439,746 | 3.73% | 2.86% | ||||||||
ARM | 38,556,987 | 1,621,311 | 40,178,298 | 41,033,271 | 2.96% | 2.34% | ||||||||
Interest Only | 1,198,052,615 | (944,550,288) | 253,502,327 | 258,402,119 | 6.06% | 7.68% | ||||||||
Credit Investments: | ||||||||||||||
Non-Agency RMBS | 827,153,363 | (84,989,448) | 742,163,915 | 749,425,071 | 4.95% | 5.53% | ||||||||
ABS | 31,375,000 | (50,387) | 31,324,613 | 31,336,101 | 5.40% | 5.52% | ||||||||
CMBS | 121,916,342 | (2,250,817) | 119,665,525 | 121,122,513 | 4.97% | 5.90% | ||||||||
Interest Only | 650,756,644 | (580,091,344) | 70,665,300 | 71,069,180 | 2.31% | 5.67% | ||||||||
Total | $ | 6,270,569,741 | $ | (1,438,720,164) | $ | 4,831,849,577 | $ | 4,926,605,381 | 4.06% | 3.45% |
As of
The Company had net realized gains of
The CPR for the Agency RMBS investment portfolio was 6.2% for the third
quarter and 6.8% for the month of
The weighted average cost basis of the Agency RMBS investment portfolio,
excluding interest-only securities, was 105.0% as of
Premiums and discounts associated with purchases of the Company's
securities are amortized or accreted into interest income over the
estimated life of such securities, using the effective yield method. The
Company recorded
LEVERAGE AND HEDGING ACTIVITIES | |||||||||
The investment portfolio is financed with repurchase agreements as of September 30, 2012 as summarized below: |
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Repurchase Agreements |
Balance |
Weighted |
Weighted Average |
||||||
30 Days or Less | $ | 2,656,350,000 | 0.74% | 15.4 | |||||
31-60 Days | 582,068,000 | 0.48% | 44.9 | ||||||
61-90 Days | 297,628,000 | 0.52% | 70.7 | ||||||
Greater than 90 Days | 581,475,386 | 0.70% | 170.2 | ||||||
Total / Weighted Average | $ | 4,117,521,386 | 0.68% | 45.4 |
The Company has entered into repurchase agreements with 26 counterparties. We continue to rebalance our exposures to counterparties and add new counterparties.
We have entered into interest rate swap agreements to hedge our
portfolio. The Company’s swaps as of
Interest Rate Swaps | |||||||||
Maturity | Notional Amount |
Weighted Average |
Weighted |
Weighted |
|||||
2014 | $ 204,500,000 | 1.000% | 0.440% | 1.79 | |||||
2015 | 334,025,000 | 1.131% | 0.406% | 2.63 | |||||
2016 | 307,500,000 | 1.157% | 0.389% | 3.52 | |||||
2017 | 385,000,000 | * | 1.027% | 0.390% | 4.94 | ||||
2018 | 270,000,000 | * | 1.379% | 0.388% | 5.87 | ||||
2019 | 290,000,000 | 1.472% | 0.419% | 6.78 | |||||
2022 | 50,000,000 | 1.685% | 0.415% | 9.93 | |||||
Total/Wtd Avg | $ 1,841,025,000 | 1.204% | 0.403% | 4.50 |
* These figures include forward starting swaps with a total notional of $300.0 million and a weighted average start date of November 14, 2012. Weighted average rates shown are inclusive of rates corresponding to the terms of the swap as if the swap were effective as of September 30, 2012. | |
** Approximately 6% of our receive float interest rate swap notionals reset monthly based on one-month LIBOR and 94% of our receive float interest rate swap notionals reset quarterly based on three-month LIBOR. |
TAXABLE INCOME
The primary differences between taxable income and GAAP net income
include (i) unrealized gains and losses associated with investment and
derivative portfolios which are marked-to-market in current income for
GAAP purposes, but excluded from taxable income until realized or
settled, (ii) temporary differences related to amortization of net
premiums paid on investments, (iii) the timing and amount of deductions
related to stock-based compensation, and (iv) excise taxes. As of
DIVIDEND
On
On
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders and analysts
to attend MITT’s third quarter earnings conference call on
A presentation will accompany the conference call and will be available shortly on the Company’s website at www.agmit.com. Select the Q3 2012 Earnings Presentation link to download and print the presentation in advance of the stockholder call.
An audio replay of the stockholder call combined with the presentation
will be made available on our website after the call. The replay will be
available until midnight on
For further information or questions, please contact
ABOUT
Additional information can be found on the Company's website at www.agmit.com.
ABOUT
FORWARD LOOKING STATEMENTS
This press release includes "forward-looking statements" within the
meaning of the safe harbor provisions of the United States Private
Securities Litigation Reform Act of 1995 related to future dividends,
the credit component of our portfolio book valve, deploying capital, the
preferred stock offering and repurchase agreements. Forward-looking
statements are based on estimates, projections, beliefs and assumptions
of management of the Company at the time of such statements and are not
guarantees of future performance. Forward-looking statements involve
risks and uncertainties in predicting future results and conditions.
Actual results could differ materially from those projected in these
forward-looking statements due to a variety of factors, including,
without limitation, changes in interest rates, changes in the yield
curve, changes in prepayment rates, the availability and terms of
financing, changes in the market value of our assets, general economic
conditions, market conditions, conditions in the market for Agency RMBS,
Non-Agency RMBS, ABS and CMBS securities, and legislative and regulatory
changes that could adversely affect the business of the Company.
Additional information concerning these and other risk factors are
contained in the Company's filings with the
AG Mortgage Investment Trust, Inc. and Subsidiaries | ||||||
Consolidated Balance Sheets | ||||||
(Unaudited) | ||||||
September 30, 2012 | December 31, 2011 | |||||
Assets | ||||||
Real estate securities, at fair value: | ||||||
Agency - $3,718,533,776 and $1,186,149,842 pledged as collateral, respectively | $ | 3,953,652,516 | $ | 1,263,214,099 | ||
Non-Agency - $373,124,776 and $47,227,005 pledged as collateral, respectively | 396,794,077 | 58,787,051 | ||||
ABS - $31,336,101 and $4,526,620 pledged as collateral, respectively | 31,336,101 | 4,526,620 | ||||
CMBS - $126,046,875 and $2,747,080 pledged as collateral, respectively | 172,963,674 | 13,537,851 | ||||
Linked transactions, net, at fair value | 97,566,244 | 8,787,180 | ||||
Cash and cash equivalents | 80,496,926 | 35,851,249 | ||||
Restricted cash | 5,130,047 | 3,037,055 | ||||
Interest receivable | 15,864,560 | 4,219,640 | ||||
Receivable on unsettled trades | 11,147,587 | - | ||||
Derivative assets, at fair value | 2,936,328 | 1,428,595 | ||||
Other assets | 706,130 | 711,617 | ||||
Due from broker | 744,876 | - | ||||
Due from affiliates | - | 104,994 | ||||
Total Assets | $ | 4,769,339,066 | $ | 1,394,205,951 | ||
Liabilities | ||||||
Repurchase agreements | $ | 3,843,228,617 | $ | 1,150,149,407 | ||
Payable on unsettled trades | 159,830,920 | 18,759,200 | ||||
Interest payable | 2,115,798 | 613,803 | ||||
Derivative liabilities, at fair value | 38,305,994 | 9,569,643 | ||||
Dividend payable | 17,584,168 | 7,011,171 | ||||
Due to affiliates | 2,482,701 | 770,341 | ||||
Accrued expenses | 1,312,565 | 668,552 | ||||
Due to broker | - | 379,914 | ||||
Total Liabilities | 4,064,860,763 | 1,187,922,031 | ||||
Stockholders' Equity | ||||||
Preferred stock - $0.01 par value; 50,000,000 shares authorized: | ||||||
8.25% Series A Cumulative Redeemable Preferred Stock, 2,070,000
and 0 shares |
49,919,633 | - | ||||
8.00% Series B Cumulative Redeemable Preferred Stock, 4,600,000
and 0 shares |
111,302,268 | - | ||||
Common stock, par value $0.01 per share; 450,000,000 shares of
common stock |
228,835 | 100,100 | ||||
Additional paid-in capital | 458,172,393 | 198,228,694 | ||||
Retained earnings | 84,855,174 | 7,955,126 | ||||
704,478,303 | 206,283,920 | |||||
Total Liabilities & Equity | $ | 4,769,339,066 | $ | 1,394,205,951 |
AG Mortgage Investment Trust, Inc. and Subsidiaries | ||||||||||||||||
Consolidated Statements of Operations | ||||||||||||||||
(Unaudited) | ||||||||||||||||
Period from | ||||||||||||||||
Three Months Ended | Three Months Ended | Nine Months Ended | March 7, 2011 to | |||||||||||||
September 30, 2012 | September 30, 2011 | September 30, 2012 | September 30, 2011 | |||||||||||||
Net Interest Income | ||||||||||||||||
Interest income | $ | 28,285,116 | $ | 8,726,394 | $ | 60,164,752 | $ | 8,726,394 | ||||||||
Interest expense | 4,228,610 | 590,247 | 8,506,041 | 590,247 | ||||||||||||
24,056,506 | 8,136,147 | 51,658,711 | 8,136,147 | |||||||||||||
Other Income | ||||||||||||||||
Net realized gain | 4,105,323 | 4,291,139 | 14,087,123 | 4,291,139 | ||||||||||||
Gain on linked transactions, net | 6,688,111 | 204,727 | 13,492,268 | 204,727 | ||||||||||||
Realized loss on periodic interest settlements of interest rate swaps, net | (2,471,590 | ) | (986,502 | ) | (6,061,954 | ) | (986,502 | ) | ||||||||
Unrealized loss on derivative instruments, net | (13,371,486 | ) | (6,562,093 | ) | (26,793,133 | ) | (6,562,093 | ) | ||||||||
Unrealized gain on real estate securities, net | 45,917,570 | 9,694,455 | 78,755,229 | 9,694,455 | ||||||||||||
40,867,928 | 6,641,726 | 73,479,533 | 6,641,726 | |||||||||||||
Expenses | ||||||||||||||||
Management fee to affiliate | 1,657,701 | 742,557 | 3,903,378 | 742,557 | ||||||||||||
Other operating expenses | 1,653,547 | 739,452 | 3,227,786 | 755,270 | ||||||||||||
Equity based compensation to affiliate | 120,612 | 78,822 | 312,712 | 78,822 | ||||||||||||
Excise tax | 272,195 | - | 605,773 | - | ||||||||||||
3,704,055 | 1,560,831 | 8,049,649 | 1,576,649 | |||||||||||||
Net Income | 61,220,379 | 13,217,042 | 117,088,595 | 13,201,224 | ||||||||||||
Dividends on preferred stock | 790,100 | - | 790,100 | - | ||||||||||||
Net Income Available to Common Stockholders | $ | 60,430,279 | $ | 13,217,042 | $ | 116,298,495 | $ | 13,201,224 | ||||||||
Earnings Per Share of Common Stock | ||||||||||||||||
Basic | $ |
3.13 |
$ | 1.42 | $ |
7.07 |
$ | 3.20 | ||||||||
Diluted | $ | 3.10 | $ | 1.41 | $ | 7.07 | $ | 3.18 | ||||||||
Weighted Average Number of Shares of Common Stock Outstanding | ||||||||||||||||
Basic | 19,336,154 | 9,339,516 | 16,439,100 | 4,130,940 | ||||||||||||
Diluted | 19,462,984 | 9,383,253 | 16,449,450 | 4,150,285 | ||||||||||||
Dividends Declared per Share of Common Stock | $ | 0.77 | $ | 0.40 | $ | 2.17 | $ | 0.40 |
NON-GAAP FINANCIAL MEASURE
This press release contains Core Earnings, a non-GAAP financial measure. AG Mortgage Investment Trust’s management believes that this non-GAAP measure, when considered with GAAP, provides supplemental information useful in evaluating the results of the Company’s operations. This non-GAAP measure should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.
Core Earnings are defined by the Company as net income excluding both realized and unrealized gains (losses) on the sale or termination of securities, including underlying linked transactions and derivatives. As defined, Core Earnings include the net interest earned on these transactions, including credit derivatives, linked transactions, inverse Agency securities, interest rate derivatives or any other investment activity that may earn net interest. One of the objectives of the Company is to generate net income from net interest margin on the portfolio and management uses Core Earnings to measure this objective.
A reconciliation of GAAP net income to Core Earnings for the three and
nine months ended
Period from | ||||||||||||||||
Three Months Ended | Three Months Ended | Nine Months Ended | March 7, 2011 to | |||||||||||||
September 30, 2012 | September 30, 2011 | September 30, 2012 | September 30, 2011 | |||||||||||||
Net Income available to common stockholders | $ | 60,430,279 | $ | 13,217,042 | $ | 116,298,495 | $ | 13,201,224 | ||||||||
Add (Deduct): | ||||||||||||||||
Net realized gain | (4,105,323 | ) | (4,291,139 | ) | (14,087,123 | ) | (4,291,139 | ) | ||||||||
Gain on linked transactions, net | (6,688,111 | ) | (204,727 | ) | (13,492,268 | ) | (204,727 | ) | ||||||||
Net interest income on linked transactions | 2,917,262 | 345,909 | 6,861,434 | 345,909 | ||||||||||||
Unrealized loss on derivative instruments, net | 13,371,486 | 6,562,093 | 26,793,133 | 6,562,093 | ||||||||||||
Unrealized gain on real estate securities | (45,917,570 | ) | (9,694,455 | ) | (78,755,229 | ) | (9,694,455 | ) | ||||||||
Core Earnings | $ | 20,008,023 | $ | 5,934,723 | $ | 43,618,442 | $ | 5,918,905 | ||||||||
Core Earnings, per Diluted Share | $ | 1.03 | $ | 0.63 | $ | 2.65 | $ | 1.43 |
Footnotes
(1) Per share figures are calculated using a denominator of all outstanding shares including all shares granted to our Manager and our independent directors under our equity incentive plans as of quarter end. Net book value uses stockholders’ equity less net proceeds of the Company’s 8.25% Series A and 8.00% Series B Cumulative Redeemable Preferred Stock as the numerator.
(2) Return on equity is calculated by dividing net income at quarter end by the weighted average stockholders’ equity during the quarter.
(3) Generally when we purchase a security and finance it with a repurchase agreement, the security is included in our assets and the repurchase agreement is separately reflected in our liabilities on our balance sheet. For securities with certain characteristics (including those which are not readily obtainable in the market place) that are purchased and then simultaneously sold back to the seller under a repurchase agreement, US GAAP requires these transactions be netted together and recorded as a forward purchase commitment. Throughout this press release where we disclose our investment portfolio and the repurchase agreements that finance it, including our leverage metrics, we have un-linked the transaction and used the gross presentation as used for all other securities. This presentation is consistent with how the Company’s management evaluates the business, and believes provides the most accurate depiction of the Company’s investment portfolio and financial condition.
(4) Net interest margin is calculated by subtracting the weighted average cost of funds from the weighted average yield for the Company’s investment portfolio, which excludes cash held by the Company. See footnotes (10) and (11) for further detail.
(5) The total investment portfolio is calculated by summing the fair market value of our Agency RMBS, Non-Agency RMBS, ABS and CMBS assets, including linked transactions. The percentage of Agency RMBS and credit investments are calculated by dividing the respective fair market value of each, including linked transactions, by the total investment portfolio.
(6) This represents the weighted average monthly CPRs published during the quarter for our in-place portfolio during the same period.
(7) Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP.
(8) The leverage ratio during the quarter was calculated by dividing our daily weighted average repurchase agreements, including those included in linked transactions, for the quarter by the weighted average stockholders’ equity for the quarter. The leverage ratio at quarter end was calculated by dividing total repurchase agreements, including repurchase agreements accounted for as linked transactions, plus or minus the net payable or receivable, as applicable, on unsettled trades on our GAAP balance sheet by our GAAP stockholders’ equity at quarter end.
(9) The swap ratio during the quarter was calculated by dividing our daily weighted average swap notionals, including receive fixed swap notionals as negative values, for the period by our daily weighted average repurchase agreements secured by Agency RMBS. When calculated using the weighted average total repurchase agreements, including those included in linked transactions, the ratio during the quarter is 45%. The swap ratio at quarter end was calculated by dividing the notional value of our interest rate swaps by total repurchase agreements secured by Agency RMBS, plus the net payable/receivable on unsettled trades. When calculating using the total repurchase agreements including those included in linked transactions, the ratio at quarter-end is 43%.
(10) The yield on our investment portfolio represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter end. The yield on our investment portfolio during the quarter was calculated by annualizing interest income for the quarter and dividing by our daily weighted average securities held. This calculation excludes cash held by the Company.
(11) The cost of funds during the quarter was calculated by annualizing the sum of our interest expense and our net pay rate of our interest rate swaps, and dividing by our daily weighted average repurchase agreements for the period. The cost of funds at quarter end was calculated as the sum of the weighted average rate on the repurchase agreements outstanding at quarter end and the weighted average net pay rate on our interest rate swaps. Both elements of the cost of funds at quarter end were weighted by the repurchase agreements outstanding at quarter end.
(12) The management fee percentage during the quarter was calculated by annualizing the management fees incurred during the quarter and dividing by the weighted average stockholders’ equity for the quarter. The management fee percentage at quarter end was calculated by annualizing management fees incurred during the quarter and dividing by quarter end stockholders’ equity.
(13) The other operating expenses percentage during the quarter was calculated by annualizing the other operating expenses incurred during the quarter and dividing by our weighted average stockholders’ equity for the quarter. The other operating expenses percentage at quarter end was calculated by annualizing other operating expenses recorded during the quarter and dividing by quarter end stockholders’ equity.
Source:
AG Mortgage Investment Trust, Inc.
Lisa Yahr
Head of Investor
Relations
212-692-2282
lyahr@angelogordon.com